On some estimators of the Hurst index of the solution of SDE driven by a fractional Brownian motion

DOI10.1016/j.spl.2015.11.013zbMath1384.62073arXiv1507.07180MaRDI QIDQ899656

V. Skorniakov, Kęstutis Kubilius

Publication date: 30 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.07180

zbMATH Keywords

stochastic differential equation; fractional Brownian motion; Hurst index

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

60G22: Fractional processes, including fractional Brownian motion

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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